If America’s enervating presidential election has sapped any remaining esteem you had for politicians, might I suggest booking the next flight to Tirana? For the last two and a half years, the west Balkan nation of Albania has been governed not by some philistine crusader promising divinely inspired corporate tax cuts, but by a bona fide artist: the painter-turned-prime-minister Edi Rama, elected in a landslide in 2013.

Rama came to prominence a decade ago, when as mayor of Tirana he ordered the dilapidated communist-era towers of the capital repainted in wild colors – chevrons of red and yellow, zigzagging blue and green stripes. The painted facades are hopelessly inadequate to repair the crumbling architectural legacy of the last century. But after a previous century of politicians brought a city to decay, surely an artist at least deserves a shot.

Rama spent much of the 1990s in Paris, where he lived with another Albanian: Anri Sala, a documentary film-maker turned video artist. “This is more an avant garde of democratization,” he tells Sala in his 2003 film Dammi i Colori, a nighttime escapade through the Albanian capital and its parti-coloured apartment blocks. It’s this seductive tour of Tirana, a midnight reverie of past and present, by which Sala eases us into the grand, busted dreams of the 20th century: modernist dreams, communist dreams, dreams in which politics and aesthetics informed one another and then collapsed into ruin. And Rama’s proposition – that (abstract) art might be your best bet for courage after the failure of the communist dream – ripples throughout all the works that constitute Anri Sala: Answer Me, a cunning, musical, and occasionally glorious retrospective of one of the most important artists in Europe, east or west.

Sala was born in 1974, when an isolated Albania was under the thumb of the pitiless, paranoid dictator Enver Hoxha. He shot to prominence with his first film, the documentary Intervista (1998), made while he was still a student in France. (It’s not properly included in this show, but the curators have at least decided to screen Intervista once a week in the New Museum’s theater.) Sala comes across footage of his mother speaking at a conference of the Party of Labour of Albania in the late 1970s, but the audio is lost. His mother can’t remember what she had said. So Sala takes the footage to a school for the deaf, where the students read her lips and help the artist subtitle the interview. It turns out she was just spouting party-line claptrap about young people’s allegiance to Marxism-Leninism, which Sala’s mother can hardly believe. Her voice, her language, was not her own.

With Intervista and Dammi i Colori (the latter’s Italian title, literally Give Me the Colors, is borrowed from an aria in Tosca), Sala established himself as one of the shrewdest artistic interrogators of the legacy of communism, on both personal and urban planes. But after his film with Rama, Sala stepped back from his engagement with Albania and began to make more poetic, plangent films and videos – looking obliquely at recent European history, and making heavy use of music.

Four of these later video works are presented here in a single gallery, on a half-hour loop, and you’ll want to watch them all, although the sound is occasionally tinny in the New Museum’s hostile building. The best is Long Sorrow (2005), shot at a massive housing estate in west Berlin, in which a free jazz saxophonist on the roof plays an improvised dirge to the drab buildings below: a eulogy for modernism, and for the hopes that artists and architects could transform our lives. Answer Me (2008), filmed in a cold war listening station, depicts a woman struggling to speak to a man, who responds only with cacophonous drumming.

Almost all the last century’s aesthetic dreams came to grief. Utopian tower blocks rotted into periurban ghettoes; modernist painting, delusionally imagined as an accelerator of revolution, has become an asset class for a global crew of financiers and rentiers. Rama’s painting of the facades of Tirana appears almost a parody of modernist urban planning, a charming but woefully insufficient aesthetic bandage for one of Europe’s poorest capitals. But music, that most abstract of all art forms, seems to hold for Sala some little bit of hope. As words are replaced by sound in Sala’s later works, music ends up both reflecting the sorry history of 20th-century Europe – and also offering a possible means of redemption.

The newest pair of videos here, both entitled The Present Moment, feature a string sextet playing Arnold Schoenberg’s Verklärte Nacht. Sala has modified the score: in one video the musicians only play the note B-flat, in the other only D. (He originally showed the work in Munich’s Haus der Kunst, which was initially built as a Nazi show palace; Sala’s work served as a stinging rebuke to the Nazis’ designation of Schoenberg as a degenerate composer.) The two modified sextets are projected simultaneously, and Schoenberg’s late Romantic score devolves into a dissonant muddle. And yet the profound concentration on the musicians’ faces, their anxious attempts to play this deformed opus, bespeaks an abiding faith that art might yet live after the dreams of transformation we ascribed to it have died.

I remain unconvinced by Sala’s occasional sculptures – notably his motorized snare drums that play themselves, which to me seem like souvenirs of his major music-backed films rather than fully formed artworks. (There are also some unremarkable works on paper in the show; some were done in collaboration with Rama, who has a penchant for doodling on printouts of his prime ministerial Outlook calendar.) But on the whole this retrospective affirms Sala’s unrivaled capacity to excavate the sullied dreams of modernism, and to imagine a future on the ruins of the recent past.

In his masterpiece Ravel Ravel Unravel, first seen at the Venice Biennale in 2013, two pianists play Ravel’s Piano Concerto for the Left Hand in D Major, composed for the Jewish pianist Paul Wittgenstein (the brother of the philosopher Ludwig), who fled Austria just before the Anschluss. The two renditions are slightly, deliberately out of sync, and Ravel’s concerto sounds curiously rowdy; on a third screen a DJ tries to mix the two together, with only some success. Tempo itself has lost its meaning; time has been disjointed, history is a collection of shards. But the DJ keeps spinning her records, and scratches a new concerto.